Proper Conditioning for Coherent VaR in Portfolio Management

DOI10.1287/mnsc.1060.0632zbMath1232.91620OpenAlexW2140971405MaRDI QIDQ3116094

Georges Tsafack, René Garcia, Eric Renault

Publication date: 21 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/81217fbb5282313e7249b064c4645e5b08960c7f

zbMATH Keywords

value at riskcoherent measures of riskdecentralized risk management

Mathematics Subject Classification ID

Related Items (13)

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